An ND grad filter allows you to capture scenes with very high dynamic range. In that regard, it's very similar to HDR. However, many consider ND grad filters to produce more natural and better looking images. This seems to match my experience with ND Grad filters.

For a comparison of HDR and ND Grad filters, have a read of this article. It's by Singh Ray (who manufacture ND grad filters), but that doesn't mean what it says is not true

Yeah, i've had incredibly mixed results trying HDR, other people seem more adept at them and the pics can be nice. But i love the pictures the ND grads produce much more and that's the pictures i like taking.

I use the Cokin P series. I was given this kit for my birthday, so that's an easy way to get into the ND grad filter system. While geeks moan about how Cokin filters may not be truly neutral and introduce a colour cast, I have yet to see this affect photos in practice.

Things you need is a filter holder, an adapter ring to connect your lens to the filter holder and filters. The kit came with 3 filters - 1 stop, 2 stops and 3 stops graduated. I've found the 2 stop one the most useful so if you're starting from scratch I'd skip the kit and just buy the 2 stop one. As for hard edge vs soft edge filters, they're down to personal preference. I have no experience iwth soft edge filters, but other photographers have complained about how hard it is to see the transition when using soft edged filters.

You're correct about the hard/soft edge filters. The reason why hard edged filters can be better in practice is because the transition between the sky and ground in landscapes is usually a hard edge. You normally set the edge on the horizon, which is why a soft edged filter isn't going to be that useful. You either have the transition above the horizon, which means that part of the sky is going to be really bright or you'll have the transition below the horizon which means that part of the ground will appear dark.

In the article, the reason a soft edged filter was used is because the "ground" is a lake which reflects the sky, thus is going to be bright. Though this is not always a problem since the reflection in the lake is not going to be as bright as the sky so you could just as easily have taken the shot with a hard edged filter.

The P series filters are about £10 a pop so you could always get both kinds